The econometrics of financial markets
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...Empirically, fundamental volatility can be captured using price changes over a longer time period, and the total fundamental and liquidity-based volatility is captured by short-term price changes as in the literature on variance ratios (see e.g. Campbell, Lo, and MacKinlay (1997) )....
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"The econometrics of financial marke..." refers background in this paper
...For example, much of the chapter on market microstructure revolves around Lo and MacKinlay (1990) and Hausman et al....
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...For example, much of the chapter on market microstructure revolves around Lo and MacKinlay (1990) and Hausman et al. (1992). I don’t question the contribution of these papers, but there is a wealth of other empirical literature that is slighted by omission. Similarly, is Lo and Wang (1995) the most important paper in the area of derivative pricing? Judging by the space allocation in Chapter 9, the authors appear to think so....
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...For example, much of the chapter on market microstructure revolves around Lo and MacKinlay (1990) and Hausman et al. (1992). I don’t question the contribution of these papers, but there is a wealth of other empirical literature that is slighted by omission....
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...The major difference between the books is that Cuthbertson focuses exclusively on asset pricing in the stock, bond, and foreign exchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM) consider empirical applications throughout the field of finance, including corporate finance, derivatives markets, and market microstructure....
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...The major difference between the books is that Cuthbertson focuses exclusively on asset pricing in the stock, bond, and foreign exchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM) consider empirical applications throughout the field of finance, including corporate finance, derivatives markets, and market microstructure. The level of anticipation preceding publication can be partly measured by the fact that at least three reviews (including this one) have appeared since the book arrived. Moreover, in their reviews, both Harvey (1998) and Tiso (1998) comment on the need for such a text, a sentiment that has been echoed by numerous finance academics....
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